Monday, March 08, 2010
Monday VIXology and MLR
75%, with considerably fewer rally episodes. Of course, the VIX is a statistic and the VXX is a tradeable ETN so we're not really talking apples and apples here. But potential VXX traders should take note of the VXX chart as it probably reflects underlying volatility sentiment in a truer fashion than the VIX. I've run the VIX against VXX in a Project Z study that I'll post later in the week to support that contention.
For now the downtrend in VIX/VXX remains, with VXX hitting lower lows each day and with the VIX retracing Friday to a previous low of Jan 11th. . .which was followed by a month long double top rally. This is really a critical breaking point for the VIX and this week should reveal what the near term trend will likely be.